Abstract:Motivated by a real-world problem of blood coagulation control in Heparin-treated patients, we use Stochastic Differential Equations (SDEs) to formulate a new class of sequential prediction problems -with an unknown latent space, unknown non-linear dynamics, and irregular sparse observations. We introduce the Neural Eigen-SDE (NESDE) algorithm for sequential prediction with sparse observations and adaptive dynamics. NESDE applies eigen-decomposition to the dynamics model to allow efficient frequent predictions… Show more
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